def setup(self):
log.info('creating bitfinex exchange')
auth_bitfinex = get_exchange_auth('bitfinex')
self.bitfinex = Bitfinex(key=auth_bitfinex['key'],
secret=auth_bitfinex['secret'],
base_currency='usd')
log.info('creating bittrex exchange')
auth_bitfinex = get_exchange_auth('bittrex')
self.bittrex = Bittrex(key=auth_bitfinex['key'],
secret=auth_bitfinex['secret'],
base_currency='usd')
open_calendar = get_calendar('OPEN')
asset_finder = AssetFinderExchange()
self.data_portal_live = DataPortalExchangeLive(
exchanges=dict(bitfinex=self.bitfinex, bittrex=self.bittrex),
asset_finder=asset_finder,
trading_calendar=open_calendar,
first_trading_day=pd.to_datetime('today', utc=True))
self.data_portal_backtest = DataPortalExchangeBacktest(
exchanges=dict(bitfinex=self.bitfinex),
asset_finder=asset_finder,
trading_calendar=open_calendar,
first_trading_day=None # will set dynamically based on assets
)
def setup(self):
log.info('creating bitfinex exchange')
exchanges = get_exchanges(['bitfinex', 'bittrex', 'poloniex'])
open_calendar = get_calendar('OPEN')
asset_finder = AssetFinderExchange()
self.data_portal_live = DataPortalExchangeLive(
exchanges=exchanges,
asset_finder=asset_finder,
trading_calendar=open_calendar,
first_trading_day=pd.to_datetime('today', utc=True))
self.data_portal_backtest = DataPortalExchangeBacktest(
exchanges=exchanges,
asset_finder=asset_finder,
trading_calendar=open_calendar,
first_trading_day=None # will set dynamically based on assets
)
def _run(handle_data, initialize, before_trading_start, analyze, algofile,
algotext, defines, data_frequency, capital_base, data, bundle,
bundle_timestamp, start, end, output, print_algo, local_namespace,
environ, live, exchange, algo_namespace, base_currency, live_graph):
"""Run a backtest for the given algorithm.
This is shared between the cli and :func:`catalyst.run_algo`.
"""
if algotext is not None:
if local_namespace:
ip = get_ipython() # noqa
namespace = ip.user_ns
else:
namespace = {}
for assign in defines:
try:
name, value = assign.split('=', 2)
except ValueError:
raise ValueError(
'invalid define %r, should be of the form name=value' %
assign, )
try:
# evaluate in the same namespace so names may refer to
# eachother
namespace[name] = eval(value, namespace)
except Exception as e:
raise ValueError(
'failed to execute definition for name %r: %s' %
(name, e), )
elif defines:
raise _RunAlgoError(
'cannot pass define without `algotext`',
"cannot pass '-D' / '--define' without '-t' / '--algotext'",
)
else:
namespace = {}
if algofile is not None:
algotext = algofile.read()
if print_algo:
if PYGMENTS:
highlight(
algotext,
PythonLexer(),
TerminalFormatter(),
outfile=sys.stdout,
)
else:
click.echo(algotext)
mode = 'live' if live else 'backtest'
log.info('running algo in {mode} mode'.format(mode=mode))
if live and exchange is not None:
exchange_name = exchange
start = pd.Timestamp.utcnow()
end = start + timedelta(minutes=1439)
portfolio = get_algo_object(algo_name=algo_namespace,
key='portfolio_{}'.format(exchange_name),
environ=environ)
if portfolio is None:
portfolio = ExchangePortfolio(start_date=pd.Timestamp.utcnow())
exchange_auth = get_exchange_auth(exchange_name)
if exchange_name == 'bitfinex':
exchange = Bitfinex(key=exchange_auth['key'],
secret=exchange_auth['secret'],
base_currency=base_currency,
portfolio=portfolio)
elif exchange_name == 'bittrex':
exchange = Bittrex(key=exchange_auth['key'],
secret=exchange_auth['secret'],
base_currency=base_currency,
portfolio=portfolio)
else:
raise NotImplementedError('exchange not supported: %s' %
exchange_name)
open_calendar = get_calendar('OPEN')
sim_params = create_simulation_parameters(
start=start,
end=end,
capital_base=capital_base,
data_frequency=data_frequency,
emission_rate=data_frequency,
)
if live and exchange is not None:
env = TradingEnvironment(environ=environ,
exchange_tz='UTC',
asset_db_path=None)
env.asset_finder = AssetFinderExchange(exchange)
data = DataPortalExchange(exchange=exchange,
asset_finder=env.asset_finder,
trading_calendar=open_calendar,
first_trading_day=pd.to_datetime('today',
utc=True))
choose_loader = None
def fetch_capital_base(attempt_index=0):
"""
Fetch the base currency amount required to bootstrap
the algorithm against the exchange.
The algorithm cannot continue without this value.
:param attempt_index:
:return capital_base: the amount of base currency available for
trading
"""
try:
log.debug('retrieving capital base in {} to bootstrap '
'exchange {}'.format(base_currency, exchange_name))
balances = exchange.get_balances()
except ExchangeRequestError as e:
if attempt_index < 20:
sleep(5)
return fetch_capital_base(attempt_index + 1)
else:
raise ExchangeRequestErrorTooManyAttempts(
attempts=attempt_index, error=e)
if base_currency in balances:
return balances[base_currency]
else:
raise BaseCurrencyNotFoundError(base_currency=base_currency,
exchange=exchange_name)
sim_params = create_simulation_parameters(
start=start,
end=end,
capital_base=fetch_capital_base(),
emission_rate='minute',
data_frequency='minute')
elif bundle is not None:
bundles = bundle.split(',')
def get_trading_env_and_data(bundles):
env = data = None
b = 'poloniex'
if len(bundles) == 0:
return env, data
elif len(bundles) == 1:
b = bundles[0]
bundle_data = load(
b,
environ,
bundle_timestamp,
)
prefix, connstr = re.split(
r'sqlite:///',
str(bundle_data.asset_finder.engine.url),
maxsplit=1,
)
if prefix:
raise ValueError(
"invalid url %r, must begin with 'sqlite:///'" %
str(bundle_data.asset_finder.engine.url), )
env = TradingEnvironment(
load=partial(load_crypto_market_data,
bundle=b,
bundle_data=bundle_data,
environ=environ),
bm_symbol='USDT_BTC',
trading_calendar=open_calendar,
asset_db_path=connstr,
environ=environ,
)
first_trading_day = bundle_data.minute_bar_reader.first_trading_day
data = DataPortal(
env.asset_finder,
open_calendar,
first_trading_day=first_trading_day,
minute_reader=bundle_data.minute_bar_reader,
five_minute_reader=bundle_data.five_minute_bar_reader,
daily_reader=bundle_data.daily_bar_reader,
adjustment_reader=bundle_data.adjustment_reader,
)
return env, data
def get_loader_for_bundle(b):
bundle_data = load(
b,
environ,
bundle_timestamp,
)
if b == 'poloniex':
return CryptoPricingLoader(
bundle_data,
data_frequency,
CryptoPricing,
)
elif b == 'quandl':
return USEquityPricingLoader(
bundle_data,
data_frequency,
USEquityPricing,
)
raise ValueError("No PipelineLoader registered for bundle %s." % b)
loaders = [get_loader_for_bundle(b) for b in bundles]
env, data = get_trading_env_and_data(bundles)
def choose_loader(column):
for loader in loaders:
if column in loader.columns:
return loader
raise ValueError("No PipelineLoader registered for column %s." %
column)
else:
env = TradingEnvironment(environ=environ)
choose_loader = None
TradingAlgorithmClass = (partial(ExchangeTradingAlgorithm,
exchange=exchange,
algo_namespace=algo_namespace,
live_graph=live_graph)
if live and exchange else TradingAlgorithm)
perf = TradingAlgorithmClass(
namespace=namespace,
env=env,
get_pipeline_loader=choose_loader,
sim_params=sim_params,
**{
'initialize': initialize,
'handle_data': handle_data,
'before_trading_start': before_trading_start,
'analyze': analyze,
} if algotext is None else {
'algo_filename': getattr(algofile, 'name', '<algorithm>'),
'script': algotext,
}).run(
data,
overwrite_sim_params=False,
)
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the catalyst magic not write any data
perf.to_pickle(output)
return perf
def _run(handle_data, initialize, before_trading_start, analyze, algofile,
algotext, defines, data_frequency, capital_base, data, bundle,
bundle_timestamp, start, end, output, print_algo, local_namespace,
environ, live, exchange, algo_namespace, base_currency, live_graph):
"""Run a backtest for the given algorithm.
This is shared between the cli and :func:`catalyst.run_algo`.
"""
if algotext is not None:
if local_namespace:
ip = get_ipython() # noqa
namespace = ip.user_ns
else:
namespace = {}
for assign in defines:
try:
name, value = assign.split('=', 2)
except ValueError:
raise ValueError(
'invalid define %r, should be of the form name=value' %
assign, )
try:
# evaluate in the same namespace so names may refer to
# eachother
namespace[name] = eval(value, namespace)
except Exception as e:
raise ValueError(
'failed to execute definition for name %r: %s' %
(name, e), )
elif defines:
raise _RunAlgoError(
'cannot pass define without `algotext`',
"cannot pass '-D' / '--define' without '-t' / '--algotext'",
)
else:
namespace = {}
if algofile is not None:
algotext = algofile.read()
if print_algo:
if PYGMENTS:
highlight(
algotext,
PythonLexer(),
TerminalFormatter(),
outfile=sys.stdout,
)
else:
click.echo(algotext)
mode = 'live' if live else 'backtest'
log.info('running algo in {mode} mode'.format(mode=mode))
exchange_name = exchange
if exchange_name is None:
raise ValueError('Please specify at least one exchange.')
exchange_list = [x.strip().lower() for x in exchange.split(',')]
exchanges = dict()
for exchange_name in exchange_list:
# Looking for the portfolio from the cache first
portfolio = get_algo_object(algo_name=algo_namespace,
key='portfolio_{}'.format(exchange_name),
environ=environ)
if portfolio is None:
portfolio = ExchangePortfolio(start_date=pd.Timestamp.utcnow())
# This corresponds to the json file containing api token info
exchange_auth = get_exchange_auth(exchange_name)
if live and (exchange_auth['key'] == ''
or exchange_auth['secret'] == ''):
raise ExchangeAuthEmpty(exchange=exchange_name.title(),
filename=os.path.join(
get_exchange_folder(
exchange_name, environ),
'auth.json'))
if exchange_name == 'bitfinex':
exchanges[exchange_name] = Bitfinex(key=exchange_auth['key'],
secret=exchange_auth['secret'],
base_currency=base_currency,
portfolio=portfolio)
elif exchange_name == 'bittrex':
exchanges[exchange_name] = Bittrex(key=exchange_auth['key'],
secret=exchange_auth['secret'],
base_currency=base_currency,
portfolio=portfolio)
elif exchange_name == 'poloniex':
exchanges[exchange_name] = Poloniex(key=exchange_auth['key'],
secret=exchange_auth['secret'],
base_currency=base_currency,
portfolio=portfolio)
else:
raise ExchangeNotFoundError(exchange_name=exchange_name)
open_calendar = get_calendar('OPEN')
env = TradingEnvironment(
load=partial(load_crypto_market_data,
environ=environ,
start_dt=start,
end_dt=end),
environ=environ,
exchange_tz='UTC',
asset_db_path=None # We don't need an asset db, we have exchanges
)
env.asset_finder = AssetFinderExchange()
choose_loader = None # TODO: use the DataPortal for in the algorithm class for this
if live:
start = pd.Timestamp.utcnow()
# TODO: fix the end data.
end = start + timedelta(hours=8760)
data = DataPortalExchangeLive(exchanges=exchanges,
asset_finder=env.asset_finder,
trading_calendar=open_calendar,
first_trading_day=pd.to_datetime(
'today', utc=True))
def fetch_capital_base(exchange, attempt_index=0):
"""
Fetch the base currency amount required to bootstrap
the algorithm against the exchange.
The algorithm cannot continue without this value.
:param exchange: the targeted exchange
:param attempt_index:
:return capital_base: the amount of base currency available for
trading
"""
try:
log.debug('retrieving capital base in {} to bootstrap '
'exchange {}'.format(base_currency, exchange_name))
balances = exchange.get_balances()
except ExchangeRequestError as e:
if attempt_index < 20:
log.warn('could not retrieve balances on {}: {}'.format(
exchange.name, e))
sleep(5)
return fetch_capital_base(exchange, attempt_index + 1)
else:
raise ExchangeRequestErrorTooManyAttempts(
attempts=attempt_index, error=e)
if base_currency in balances:
return balances[base_currency]
else:
raise BaseCurrencyNotFoundError(base_currency=base_currency,
exchange=exchange_name)
capital_base = 0
for exchange_name in exchanges:
exchange = exchanges[exchange_name]
capital_base += fetch_capital_base(exchange)
sim_params = create_simulation_parameters(start=start,
end=end,
capital_base=capital_base,
emission_rate='minute',
data_frequency='minute')
# TODO: use the constructor instead
sim_params._arena = 'live'
algorithm_class = partial(ExchangeTradingAlgorithmLive,
exchanges=exchanges,
algo_namespace=algo_namespace,
live_graph=live_graph)
else:
# Removed the existing Poloniex fork to keep things simple
# We can add back the complexity if required.
# I don't think that we should have arbitrary price data bundles
# Instead, we should center this data around exchanges.
# We still need to support bundles for other misc data, but we
# can handle this later.
data = DataPortalExchangeBacktest(exchanges=exchanges,
asset_finder=None,
trading_calendar=open_calendar,
first_trading_day=start,
last_available_session=end)
sim_params = create_simulation_parameters(
start=start,
end=end,
capital_base=capital_base,
data_frequency=data_frequency,
emission_rate=data_frequency,
)
algorithm_class = partial(ExchangeTradingAlgorithmBacktest,
exchanges=exchanges)
perf = algorithm_class(
namespace=namespace,
env=env,
get_pipeline_loader=choose_loader,
sim_params=sim_params,
**{
'initialize': initialize,
'handle_data': handle_data,
'before_trading_start': before_trading_start,
'analyze': analyze,
} if algotext is None else {
'algo_filename': getattr(algofile, 'name', '<algorithm>'),
'script': algotext,
}).run(
data,
overwrite_sim_params=False,
)
if output == '-':
click.echo(str(perf))
elif output != os.devnull: # make the catalyst magic not write any data
perf.to_pickle(output)
return perf
try:
assert_frame_equal(df1, df2)
return True
except:
log.warn('differences found in dataframes')
return False
if __name__ == '__main__':
exchanges = get_exchanges(['poloniex'])
exchange = six.next(six.itervalues(exchanges))
assets = exchange.get_assets(symbols=['eth_btc'])
open_calendar = get_calendar('OPEN')
asset_finder = AssetFinderExchange()
data_portal = DataPortalExchangeBacktest(
exchanges=exchanges,
asset_finder=asset_finder,
trading_calendar=open_calendar,
first_trading_day=None # will set dynamically based on assets
)
validator = Validator(data_portal=data_portal)
validator.compare_bundle_with_exchange(exchange=exchange,
assets=assets,
end_dt=pd.to_datetime(
'2017-11-10 1:00', utc=True),
bar_count=200,
sample_minutes=30)